So to clarify...Nz to Faa to Canada is not ok or ok?
To clarify yes....and no
Depends how you do it. From what I can tell you can get an FAA licence off your New Zealand licence basically by filling in a few forms and rocking up with your New Zealand licence as proof. However this only gets you an FAA Temporary Airman Certificate.
From this point to get a stand alone FAA licence, without the words 'issued on the basis of a foreign licence' printed all over it, you would need to do an FAA CPL written exam and skills test. I'm 95% sure you could then use that to do the FAA to TC conversion.
Like you say it's probably easier and cheaper just to go straight for the TC.